Wang Kuan-Min, Lee Yuan-Ming
Department of Finance, Overseas Chinese University, 100 Chiao Kwang Road, Taichung, 40721 Taiwan.
Department of Finance, Southern Taiwan University of Science and Technology, No.1, Nantai St, Yung-Kang City, Tainan, Taiwan.
Financ Innov. 2023;9(1):13. doi: 10.1186/s40854-022-00411-z. Epub 2023 Jan 9.
This study aims to examine whether life insurance futures can serve as a hedge against the COVID-19 pandemic and whether they have the characteristics of a safe haven under the impact of the health shocks of the COVID-19 pandemic. We chose three life insurance stock futures in India and one in Taiwan as samples, including the market index of the two countries and the number of confirmed COVID-19 cases as sample variables. We used the growth rate of COVID-19 cases as the threshold variable, estimated the asymmetric threshold vector autoregression model, and found that insurance futures in the regime with a significant growth rate of confirmed COVID-19 cases can hedge against COVID-19 risks; therefore, insurance futures are a safe haven for the market. We further estimated the time-varying parameter vector autoregression model, and the impulse response results showed that insurance futures are a safe haven for COVID-19 pandemic risks.
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